Nonparametric Estimation of Market Distribution Functions in Electricity Pool Markets
Authors:
- 1 August 2006
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Mathematics of Operations Research
- Vol. 31 (3) , 621-636
Abstract
The market distribution function is a probabilistic device that can be used to model the randomness in dispatch and clearing price that generators in electricity-pool markets must take account of when submitting offers. We discuss techniques for estimating the market distribution function, and ways of measuring the quality of these estimators, using both classical statistical approaches and an expected-foregone-revenue approach.Keywords
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